Heteroskedasticity-Consistent Estimator

Definition

${\widehat{\mathrm{Var}}}_{HCE}(\hat{\beta })=\frac{T{\sum }_{t=1}^T(x_t-\bar{x}){\hat{e}}_t^2}{(T-K)({\sum }_{t=1}^T(x-\bar{x}{)}^2{)}^2}$ where $T$ is the number of observations, and $K$ is the number of explanatory variables

A method for estimating standard errors in the presence of heteroskedasticity in a linear regression model. HCE helps us avoid computing incorrect interval estimates or incorrect values for test statistics in the presence of heteroskedasticity.